Choi, Kyongwook; Yu, Wei-Choun; Zivot, Eric - In: Journal of International Money and Finance 29 (2010) 5, pp. 857-875
We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized...